Senior Credit Risk Analyst

2 maanden geleden

Amsterdam, Noord-Holland, Nederland ING Voltijd

Role Overview

Within the Chief Risk Officer's (CRO) risk organization, the Financial Risk - Trading and Risk Management (FR-TRM) Counterparty Exposure Group (CEG) operates on a global scale, focusing on the quantitative evaluation and analysis of ING's worldwide Counterparty Credit Risk (CCR) exposures, which encompass derivatives and securities financing products for both internal and regulatory requirements.

Work Environment

The FR-TRM CEG fosters an international, informal, and results-driven atmosphere. Emphasis is placed on collaboration, including an Agile methodology. You will engage closely with a diverse array of stakeholders, including the Front Office, various risk divisions, collateral management, operations, IT, credit risk reporting, finance, senior management, model validators, and model risk management.

Key Responsibilities

  • Support a comprehensive range of counterparty credit risk measurement models across all CCR financial asset classes.
  • Conduct Regulatory Exposure at Default (EAD) assessments utilizing both regulatory and internally developed models.
  • Perform Potential Future Exposure (PFE) assessments to facilitate internal limit utilization.
  • Implement Monte Carlo and Add-on methodologies, including their calibration and backtesting.
  • Execute stress testing and Wrong Way Risk modeling.
  • Model margin flows and determine own fund requirements for central counterparties.
  • Provide advisory services on risk profiles and pre-deal evaluations for potential future exposures related to exotic and structured transactions.
  • Actively engage in projects pertaining to CCR modeling implementations.
  • Validate market scenario evolution models applicable to all asset classes.
  • Validate CCR profile estimations for various derivative products, emphasizing quantitative analysis.

We seek a seasoned professional with extensive experience in market and/or counterparty credit risk, eager to lead and execute project initiatives within a dynamic business landscape.

Daily Activities

Responsibilities will include translating regulations and ING's internal policies into functional specifications, collaborating with IT developers for implementation (refinement, testing, etc.), analyzing datasets, and coordinating with stakeholders to establish necessary automated data inputs and reporting outputs. You will document related operational procedures and present analyses, results, and improvements to stakeholders and senior management, ensuring compliance with internal audit and model validation standards.

Success Factors

We value inquisitive individuals who are committed to continuous learning and taking on responsibilities. In return, we support your development into an even more exceptional professional.

A successful candidate will possess strong analytical capabilities, proficiency in essential IT tools (e.g., MS Office, programming skills), a solid understanding of counterparty credit risk concepts, and a commitment to delivering high-quality results in a timely manner. Excellent communication skills are crucial for effective interaction with various stakeholders and team members, along with critical thinking and a proactive mindset.

Candidate Profile

  • A university degree in economics, econometrics, business administration, finance, or a related field.
  • A minimum of 8 years of experience in market risk and/or counterparty credit risk.
  • Demonstrable understanding of OTC derivatives pricing and risk measurement methodologies.
  • Proven expertise in Monte Carlo simulation methodologies.
  • Familiarity with financial market regulations, guidelines, and policies (e.g., Basel Standards, CRR, EBA publications).
  • Strong communication skills, capable of engaging with diverse stakeholders (e.g., Front Office, IT, Model Validation, Senior Management).
  • Self-motivated, results-oriented, and adaptable to changing circumstances.
  • Exceptional analytical skills with attention to detail and critical thinking abilities.
  • A hands-on approach, capable of working independently as well as collaboratively.
  • Ability to thrive under pressure and meet stringent deadlines.
  • Proficient in Excel, SQL, and possessing programming knowledge (e.g., VBA, Python, SQL, Java). Programming skills are advantageous.
  • Fluent in English.

Rewards and Benefits

We prioritize enabling you to maintain a healthy balance between your professional and personal life. Our employment conditions include:

  • A competitive salary aligned with your skills and experience.
  • 24-27 vacation days based on your contract.
  • A pension scheme.
  • A 13th month salary.
  • An Individual Savings Contribution (BIS) of 3.5% of your gross annual salary.
  • 8% holiday payment.
  • Flexible hybrid working arrangements to support both focused work and collaborative efforts.
  • Opportunities for personal growth and challenging work with limitless possibilities.
  • An informal working environment with innovative colleagues.

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